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Nonstandard-Settlement Transactions

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    (Georgetown University School of Business)

A small fraction of NYSE trades do not settle in three business days, the customary period for a "regular way" trade. Nonstandard- settlement trades settle at other times - usually on the same or next business day - and often are small market sell trades by individuals. The prices received in such cases tend to be below the prices expected from spot-forward arbitrage relationships. Some nonstandard-settlement trades, however, are extremely large dividend-capture trades. The time stamps and condition codes for these trades on the consolidated tape are not always accurate, which may bias studies of the price impact of large trades.

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Paper provided by Georgetown School of Business in its series Working Papers with number _005.

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Handle: RePEc:wop:gesbwp:_005
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